The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 9 (1993)
Issue (Month): 03 (June)
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- Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics.
- Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
- Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
- Jonathan B. Hill, 2005.
"On Tail Index Estimation for Dependent, Heterogenous Data,"
0505005, EconWPA, revised 27 May 2005.
- Hill, Jonathan B., 2010. "On Tail Index Estimation For Dependent, Heterogeneous Data," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1398-1436, October.
- Robert M. De Jong & James Davidson, 2000.
"Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices,"
Econometric Society, vol. 68(2), pages 407-424, March.
- Jong, R.M. de & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
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